VECM model for logs of WMP prices
| Cointegrating Eq | CointEq1 | CointEq2 | CointEq3 |
|---|---|---|---|
| EU_WMP(-1) | 1 | 0 | 0 |
| OCEANIA_WMP(-1) | 0 | 1 | 0 |
| US_WMP(-1) | 0 | 0 | 1 |
| CDT_ WMP_CP2(-1) | −0.955 | −1.028 | −0.787 |
| C | −0.449 | 0.209 | −1.837 |
| Cointegrating Eq | CointEq1 | CointEq2 | CointEq3 |
|---|---|---|---|
| EU_WMP(-1) | 1 | 0 | 0 |
| OCEANIA_WMP(-1) | 0 | 1 | 0 |
| US_WMP(-1) | 0 | 0 | 1 |
| CDT_ WMP_CP2(-1) | −0.955 | −1.028 | −0.787 |
| C | −0.449 | 0.209 | −1.837 |
| Error correction | ΔEU_WMP | ΔOCEANIA_WMP | ΔUS_WMP | ΔGDT_WMP_CP2 |
|---|---|---|---|---|
| CointEq1 | −0.071**(−0.032) | 0.150***(−0.054) | 0.097***(−0.037) | 0.164**(−0.083) |
| CointEq2 | 0.022(−0.048) | −0.417***(−0.082) | −0.070(−0.056) | 0.078(−0.128) |
| CointEqS | 0.014(−0.021) | 0.055(−0.036) | −0.073***(−0.025) | −0.021(−0.056) |
| ΔEU_WMP(-1) | 0.347***(−0.069) | 0.267**(−0.118) | 0.194**(−0.080) | 0.328*(−0.183) |
| ΔOCEANIA_WMP(-l) | 0.051(−0.049) | 0.175**(−0.084) | 0.114**(−0.057) | 0.135(−0.130) |
| ΔUS_WMP(-1) | 0.014(−0.058) | −0.167*(−0.099) | −0.027(−0.068) | −0.187(−0.154) |
| ΔGDT_WMP_CP2(-1) | 0.097**(−0.039) | 0.260***(−0.066) | −0.029(−0.045) | 0.359***(−0.102) |
| R-squared | 0.423 | 0.450 | 0.182 | 0.179 |
| Error correction | ΔEU_WMP | ΔOCEANIA_WMP | ΔUS_WMP | ΔGDT_WMP_CP2 |
|---|---|---|---|---|
| CointEq1 | −0.071**(−0.032) | 0.150***(−0.054) | 0.097***(−0.037) | 0.164**(−0.083) |
| CointEq2 | 0.022(−0.048) | −0.417***(−0.082) | −0.070(−0.056) | 0.078(−0.128) |
| CointEqS | 0.014(−0.021) | 0.055(−0.036) | −0.073***(−0.025) | −0.021(−0.056) |
| ΔEU_WMP(-1) | 0.347***(−0.069) | 0.267**(−0.118) | 0.194**(−0.080) | 0.328*(−0.183) |
| ΔOCEANIA_WMP(-l) | 0.051(−0.049) | 0.175**(−0.084) | 0.114**(−0.057) | 0.135(−0.130) |
| ΔUS_WMP(-1) | 0.014(−0.058) | −0.167*(−0.099) | −0.027(−0.068) | −0.187(−0.154) |
| ΔGDT_WMP_CP2(-1) | 0.097**(−0.039) | 0.260***(−0.066) | −0.029(−0.045) | 0.359***(−0.102) |
| 0.423 | 0.450 | 0.182 | 0.179 |
| Statistic | p-value | |
|---|---|---|
| LM(1) | 15.067 | 0.520 |
| LM(I2) | 22.437 | 0.130 |
| LM(24) | 16.654 | 0.408 |
| J-B | 84.469 | 0.000*** |
| Statistic | ||
|---|---|---|
| LM(1) | 15.067 | 0.520 |
| LM(I2) | 22.437 | 0.130 |
| LM(24) | 16.654 | 0.408 |
| J-B | 84.469 | 0.000*** |
Note(s): Lags and standard errors are in parentheses. ***, ** and * denote significance level of 1%, 5% and 10%, respectively. Statistically significant price relationships shaded
Source(s): Own calculations
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